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| Title: | 以SOFR期貨建構利率期限結構：考慮跳躍過程之無套利Nelson-Siegel方法
Constructing Term Structure with SOFR Futures : Arbitrage-Free Nelson-Siegel with Jump-Diffusion Approach |
| Authors: | 葉宗瑋
Ye, Zong-Wei |
| Contributors: | 林士貴
Lin, Shih-Kuei
葉宗瑋
Ye, Zong-Wei |
| Keywords: | SOFR
SOFR 期貨
考慮跳躍過程之 Nelson-Siegel 模型
粒子濾波器
SOFR
SOFR futures
AFNSJ
Particle filter |
| Date: | 2022 |
| Issue Date: | 2022-08-01 17:29:52 (UTC+8) |
| Abstract: | 隨著美元 LIBOR 即將被淘汰，我們迫切需要一個合理的且具有市場代表性的前瞻性期限 SOFR。在本研究中，我們擴展Christensen, Diebold, and Rudebusch (2011) 的方法，提出了考慮跳躍過程之無套利 Nelson-Siegel 模型（arbitrage-free Nelson-Siegel model, AFNSJ）來生成利率期限結構。AFNSJ 模型具有 Nelson-Siegel 架構，以確保對樣本內估計的良好配適度。同時 AFNSJ 模型在理論上也有了重要支持，其滿足資產定價中最重要的理論：無套利條件。此外，AFNSJ 模型藉由通過考慮跳躍過程捕捉 FOMC 會議後短期利率的跳躍。在實證研究中，我們利用粒子濾波器以及加權最大概似估計法來進行估計。其根據均方根誤差和概似比檢驗結果，我們表明AFNSJ 模型在統計上優於沒有跳躍過程的高斯模型。最後，通過研究過濾後的跳躍過程，我們發現 AFNSJ 模型可以廣泛地捕捉到 FOMC 會議和宏觀經濟指示性公告引起的。
With the imminent phased out of USD LIBOR, there is an urgent need for a reasonable and market-representative forward-looking term SOFR. In this study, we propose the arbitrage-free Nelson-Siegel with jump-diffusion model (AFNSJ) extended by Christensen et al. (2011) to generate the interest rate term structure. The AFNSJ model has the Nelson-Siegel framework to ensure a good fit for in-sample estimation. It is also theoretically supported because it satisfies the most crucial theory in asset pricing: the no-arbitrage condition. Furthermore, the AFNSJ model captures the jumps pattern at short rates after the FOMC meeting by considering the jump process. In empirical studies, the particle filter with weighted maximum likelihood estimation was adopted to estimate. The root mean square error and likelihood ratio test results show that the AFNSJ model outperforms the Gaussian model without the jump process statistically. Finally, by investigating the filtered jumps, we find the AFNSJ can extensively capture the shock caused by the FOMC meetings and the announcements of macroeconomic. |
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| Description: | 碩士
國立政治大學
金融學系
109352026 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0109352026 |
| Data Type: | thesis |
| DOI: | 10.6814/NCCU202200930 |
| Appears in Collections: | [金融學系] 學位論文
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